The Financial Stability Institute (FSI) of BIS published an occasional paper (No. 14) on the Basel III liquidity monitoring tools, with focus on the possible application of the additional tools. The purpose of this document is to explain the five metrics presented in the liquidity coverage ratio (LCR) and liquidity risk monitoring tools document as well as to show how the data can be gathered.
The paper shows how the data and trends in the metrics can be analyzed and outlines the implications for supervision. Focus is on the analysis of liquidity data and assessment of qualitative aspects of liquidity management, with the aim of forming a view on a bank’s liquidity position and market vulnerabilities. The paper also discusses data collection and design of liquidity reporting, to optimize the value of data for analysis and use by supervisors and banks.
While the introduction of LCR and Net Stable Funding Ratio (NSFR) have made the measurement of liquidity across banks and jurisdictions significantly more comparable and consistent, the ratios in isolation do not capture all aspects of a bank’s liquidity risk. In January 2013, BCBS had, therefore, published its paper on the Basel III LCR and liquidity risk monitoring tools. This paper contains a number of additional metrics for use by supervisors and banks. BCBS recognizes that supervisors may need to supplement these by using additional tools and metrics to capture jurisdiction-specific issues.
Keywords: International, Banking, LCR, Liquidity Risk, Basel III, Liquidity Monitoring Tools, FSI, BIS
Previous ArticleEIOPA Consults on Second Set of Advice for Review of SCR Calculation
BoE updated the known issues document for the statistical reporting Forms AS and FV.
EBA updated the report on the implementation of selected COVID-19 policies.
OSFI published a letter that provides an update on the milestones for the implementation of the IFRS 17 standard on insurance contracts.
The Financial Stability Institute (FSI) of BIS published a brief note that examines the supervisory challenges associated with certain temporary regulatory relief measures introduced by BCBS and prudential authorities in response to the COVID-19 pandemic.
BCBS is consulting on the principles for operational resilience and the revisions to the principles for sound management of operational risk for banks.
BoE updated the reporting template for Form ER as well as the Form ER definitions, which contain guidance on the methodology to be used in calculating annualized interest rates.
MAS announced several initiatives to support adoption of the Singapore Overnight Rate Average (SORA), which is administered by MAS.
HKMA, together with the Banking Sector Small and Medium-Size Enterprise (SME) Lending Coordination Mechanism, announced a ninety-day repayment deferment for trade facilities under the Pre-approved Principal Payment Holiday Scheme.
The Advisory Scientific Committee of ESRB published a response, in the form of an Insights Paper, to the EBA proposals for reforms to the stress testing framework in EU.
FASB issued a new Accounting Standards Update (2020-06) to improve financial reporting associated with accounting for convertible instruments and contracts in an entity’s own equity.